Verfügbarkeit: Financial econometrics and empirical market microstructure

Financial econometrics and empirical market microstructure:

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Bibliographische Detailangaben
1. Verfasser:	Bera, Anil K. 1955- (VerfasserIn)
Format:	Buch
Sprache:	English
Veröffentlicht:	Cham [u.a.] Springer 2015
Schlagworte:	Mathematisches Modell Kreditmarkt Finanzierung Börse Aufsatzsammlung
Online-Zugang:	Inhaltsverzeichnis Abstract
Beschreibung:	VIII, 284 S. Ill., graph. Darst.
ISBN:	9783319099453

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MARC


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Datensatz im Suchindex

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adam_text	Contents Mathematical Models of Price Impact and Optimal Portfolio Management in Illiquid Markets ............................................... 1 Nikolay Andreev Evidence of Microstructure Variables Nonlinear Dynamics from Noised High-Frequency Data ............................................. 13 Nikolay Andreev and Victor Lapshin Revisiting of Empirical Zero Intelligence Models ............................ 25 Vyacheslav Arbuzov Construction and Backtesting of a Multi-Factor Stress-Scenario for the Stock Market .......................................... 37 Kirill Boldyrev, Dmitry Andrianov, and Sergey Ivliev Modeling Financial Market Using Percolation Theory ...................... 47 Anastasiya Byachkova and Artem Šimonov How Tick Size Affects the High Frequency Scaling of Stock Return Distributions ............................................................. 55 Gianbiagio Curato and Fabrizio Lilio Market Shocks: Review of Studies ............................................. 77 Mariya Frolova The Synergy of Rating Agencies Efforts: Russian Experience ............. 93 Alexander Karminsky Spread Modelling Under Asymmetric Information .......................... Ill Sergey Kazachenko On the Modeling of Financial Time Series .................................... 131 Aleksey Kutergin and Vladimir Filimonov vn vjii Contents Adaptive Stress Testing: Amplifying Network Intelligence by Integrating Outlier Information (Draft 16)................................ 153 Alan Laubsch On Some Approaches to Managing Market Risk Using VaR Limits: A Note .................................................................... 195 Alexey Lobanov Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets ................................................... 207 Benjamin Myers and Austin Gerig Raising Issues About Impact of High Frequency Trading on Market Liquidity ............................................................. 215 Vladimir Naumenko Application of Copula Models for Modeling One-Dimensional Time Series ........................................................................ 225 Vadim Onishchenko and Henry Penikas Modeling Demand for Mortgage Loans Using Loan-Level Data ........... 241 Evgeniy Ozhegov Sample Selection Bias in Mortgage Market Credit Risk Modeling ......... 249 Agatha Lozinskaia Global Risk Factor Theory and Risk Scenario Generation Based on the Rogov-Causality Test of Time Series Time-Warped Longest Common Subsequence ............................... 263 Mikhail Rogov Stress-Testing Model for Corporate Borrower Portfolios ................... 279 Vladimir Seleznev, Denis Surzhko, and Nikolay Khovanskiy FINANCIAL ECONOMETRICS AND EMPIRICAL MARKET MICROSTRUCTURE / : 2015 ABSTRACT / INHALTSTEXT IN THE ERA OF BIG DATA OUR SOCIETY IS GIVEN THE UNIQUE OPPORTUNITY TO UNDERSTAND THE INNER DYNAMICS AND BEHAVIOR OF COMPLEX SOCIO-ECONOMIC SYSTEMS. ADVANCES IN THE AVAILABILITY OF VERY LARGE DATABASES, IN CAPABILITIES FOR MASSIVE DATA MINING, AS WELL AS PROGRESS IN COMPLEX SYSTEMS THEORY, MULTI-AGENT SIMULATION AND COMPUTATIONAL SOCIAL SCIENCE OPEN THE POSSIBILITY OF MODELING PHENOMENA NEVER BEFORE SUCCESSFULLY ACHIEVED. THIS CONTRIBUTED VOLUME FROM THE PERM WINTER SCHOOL ADDRESS THE PROBLEMS OF THE MECHANISMS AND STATISTICS OF THE SOCIO-ECONOMICS SYSTEM EVOLUTION WITH A FOCUS ON FINANCIAL MARKETS POWERED BY THE HIGH-FREQUENCY DATA ANALYSIS DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
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author	Bera, Anil K. 1955-
author_GND	(DE-588)170615510
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indexdate	2024-07-10T01:12:45Z
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isbn	9783319099453
language	English
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spelling	Bera, Anil K. 1955- Verfasser (DE-588)170615510 aut Financial econometrics and empirical market microstructure Anil K. Bera ... eds. Cham [u.a.] Springer 2015 VIII, 284 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Finanzierung (DE-588)4017182-6 gnd rswk-swf Börse (DE-588)4007502-3 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Finanzierung (DE-588)4017182-6 s Mathematisches Modell (DE-588)4114528-8 s Börse (DE-588)4007502-3 s Kreditmarkt (DE-588)4073788-3 s DE-604 Erscheint auch als Online-Ausgabe 978-3-319-09946-0 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027542370&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027542370&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Abstract
spellingShingle	Bera, Anil K. 1955- Financial econometrics and empirical market microstructure Mathematisches Modell (DE-588)4114528-8 gnd Kreditmarkt (DE-588)4073788-3 gnd Finanzierung (DE-588)4017182-6 gnd Börse (DE-588)4007502-3 gnd
subject_GND	(DE-588)4114528-8 (DE-588)4073788-3 (DE-588)4017182-6 (DE-588)4007502-3 (DE-588)4143413-4
title	Financial econometrics and empirical market microstructure
title_auth	Financial econometrics and empirical market microstructure
title_exact_search	Financial econometrics and empirical market microstructure
title_full	Financial econometrics and empirical market microstructure Anil K. Bera ... eds.
title_fullStr	Financial econometrics and empirical market microstructure Anil K. Bera ... eds.
title_full_unstemmed	Financial econometrics and empirical market microstructure Anil K. Bera ... eds.
title_short	Financial econometrics and empirical market microstructure
title_sort	financial econometrics and empirical market microstructure
topic	Mathematisches Modell (DE-588)4114528-8 gnd Kreditmarkt (DE-588)4073788-3 gnd Finanzierung (DE-588)4017182-6 gnd Börse (DE-588)4007502-3 gnd
topic_facet	Mathematisches Modell Kreditmarkt Finanzierung Börse Aufsatzsammlung
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027542370&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027542370&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT beraanilk financialeconometricsandempiricalmarketmicrostructure

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